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A Python module implementing some standard algorithms used in nonlinear time series analysis

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manu-mannattil/nolitsa

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NoLiTSA

NoLiTSA (NonLinear Time Series Analysis) is a Python module implementing several standard algorithms used in nonlinear time series analysis.

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Features

  • Estimation of embedding delay using autocorrelation, delayed mutual information, and reconstruction expansion.
  • Embedding dimension estimation using false nearest neighbors and averaged false neighbors.
  • Computation of correlation sum and correlation dimension from both scalar and vector time series.
  • Estimation of the maximal Lyapunov exponent from both scalar and vector time series.
  • Generation of FT, AAFT, and IAAFT surrogates from a scalar time series.
  • Simple noise reduction scheme for filtering deterministic time series.
  • Miscellaneous functions for end point correction, stationarity check, fast near neighbor search, etc.

Installation

NoLiTSA can be installed via

pip install git+https://github.com/manu-mannattil/nolitsa.git

NoLiTSA requires NumPy, SciPy, and Numba.

Tests

NoLiTSA’s unit tests can be executed by running pytest.

Publications

Versions of NoLiTSA were used in the following publications:

  • M. Mannattil, H. Gupta, and S. Chakraborty, “Revisiting Evidence of Chaos in X-ray Light Curves: The Case of GRS 1915+105,” Astrophys. J. 833, 208 (2016).

  • M. Mannattil, A. Pandey, M. K. Verma, and S. Chakraborty, “On the applicability of low-dimensional models for convective flow reversals at extreme Prandtl numbers,” Eur. Phys. J. B 90, 259 (2017).

Acknowledgments

Sagar Chakraborty is thanked for several critical discussions.

License

NoLiTSA is licensed under the 3-clause BSD license. See the file LICENSE for more details.

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A Python module implementing some standard algorithms used in nonlinear time series analysis

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